I am busy working on a getting started guide for advanced quantitative finance (for alpha design) and have been searching for the seminal books/literature for the field.

So far I have the following list but I feel as if I must be missing a few texts:

Are there any other great texts that we should add? I am open to the idea of academic papers as well.

2 Examples of knock out good papers (imo) are:

  1. Empirical Asset Pricing via Machine Learning
  2. Building Diversified Portfolios that Outperform Out of Sample

2 Answers 2


my personal favorite in addition to APM is Quantitative Equity Investing. I think of it as alpha 101 as it goes thru modelling time series, covariance matrix, then to factor portfolio optimization, transaction costs etc.


What about Empirical Asset Pricing? A standard book about many known anomalies and ways of detecting/testing them. May help to generate some alpha when strategies around these ideas are exploided.


Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge you have read our privacy policy.

Not the answer you're looking for? Browse other questions tagged or ask your own question.